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An application of wavelet analysis to pricing and hedging derivative securities
An application of wavelet analysis pricing and hedging derivative securities
2009/9/22
This work provides an application of wavelet analysis
to pricing and hedging path-dependent contingent claims within the
framework of the Black-Scholes model.
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
High-frequency data S&P 500 index long range dependence heavy tailed marginals fractional Brownian motion
2010/4/27
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January
1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of
stationarity (the time p...